基于持续期理论的利差风险控制问题研究

利差风险是寿险公司资产价值和负债价值因利率变动而遭受负面影响时所产生的风险，本文从风险定量分析理论——持续期理论入手。分析了利差风险及度量理论的应用，并提出加强资产负债管理，改善寿险产品策略。合理设计寿险产品等增强国有寿险公司偿付能力和核心竞争力的对策。

Interest rate spread risk is a risk faced by life insurers when their assets value and liability value are negatively affected by interest rate movement. This article proceeds form the quantitative risk analysis theory-continued-period theory and analyzes interest rate spread risk and the application of measurement theories. It proposes measures on enhancement of life insurers＇solvency and core competitiveness by strengthening asset liability management, improving life insurance product strategy and applying rational produce design and so on.